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Volatility transmission across markets : a multichain Markov switching model
Gallo, Giampiero M.; Otranto, Edoardo - In: Applied financial economics 17 (2007) 7/9, pp. 659-670
Persistent link: https://www.econbiz.de/10003491212
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Fractional integration in the equity markets of MENA region
Assaf, A. - In: Applied financial economics 17 (2007) 7/9, pp. 709-723
Persistent link: https://www.econbiz.de/10003491224
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Stock return dynamics and stock market interdependencies
Tsouma, Ekaterini - In: Applied financial economics 17 (2007) 10/12, pp. 805-825
Persistent link: https://www.econbiz.de/10003537547
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Testing for market segmentation in the A and B share markets of China
Chelley-Steeley, Patricia L.; Qian, Weihua - In: Applied financial economics 15 (2005) 11, pp. 791-802
Persistent link: https://www.econbiz.de/10003016844
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Using financial ratios to differentiate domestic and multinational corporations
McGowan, Carl B. - In: Applied financial economics 17 (2007) 13/15, pp. 1071-1074
Persistent link: https://www.econbiz.de/10003590463
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International transmissions in US-Japanese stock markets
Ishii, Youta - In: Applied financial economics 18 (2008) 13/15, pp. 1193-1200
Persistent link: https://www.econbiz.de/10003760240
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Spillovers and correlations between US and major European stock markets : the role of the euro
Savva, Christos S.; Osborn, Denise R.; Gill, Len - In: Applied financial economics 19 (2009) 19/21, pp. 1595-1604
, Frankfurt and Paris stock markets. After controlling for possible returns and volatility spillovers, we focus on the …
Persistent link: https://www.econbiz.de/10003904304
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Equity market price interdependence based on bootstrap causality tests : evidence from Australia and its major trading partners
Hatemi-J, Abdulnasser; Roca, Eduardo - In: Applied financial economics 17 (2007) 10/12, pp. 827-835
Persistent link: https://www.econbiz.de/10003537981
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Dynamic correlation analysis of financial contagion in Asian markets in global financial turmoil
Yiu, Matthew S.; Ho, Wai-yip Alex; Choi, Daniel F. S. - In: Applied financial economics 20 (2010) 4/6, pp. 345-354
This article investigates the dynamics of correlation between 11 Asian stock markets and the US stock market. By utilizing the method of 'principal components', we identify a single latent factor that can explain a major portion of variation in the weekly returns of these 11 markets from 1993 to...
Persistent link: https://www.econbiz.de/10003963165
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The relative influence of the East and the West on Middle Eastern emerging stock markets : an empirical investigation
Ajayi, Richard A.; Mehdian, Seyed M.; Perry, Mark J. - In: Applied financial economics 20 (2010) 4/6, pp. 407-415
This article examines the relative influence of the US, UK and Japan on Middle Eastern Emerging Markets (MEEMs). The empirical results, from maximum likelihood regressions, Generalized Autoregressive Conditional Heteroscedasticity (GARCH) models and Vector Autoregression (VAR) estimates, provide...
Persistent link: https://www.econbiz.de/10003963313